Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0042
Annualized Std Dev 0.0987
Annualized Sharpe (Rf=0%) 0.0429

Row

Daily Return Statistics

Close
Observations 3302.0000
NAs 1.0000
Minimum -0.0842
Quartile 1 -0.0019
Median 0.0003
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0021
Maximum 0.1086
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0002
Variance 0.0000
Stdev 0.0062
Skewness 0.3520
Kurtosis 66.8494

Downside Risk

Close
Semi Deviation 0.0045
Gain Deviation 0.0051
Loss Deviation 0.0057
Downside Deviation (MAR=210%) 0.0100
Downside Deviation (Rf=0%) 0.0045
Downside Deviation (0%) 0.0045
Maximum Drawdown 0.3130
Historical VaR (95%) -0.0071
Historical ES (95%) -0.0144
Modified VaR (95%) -0.0012
Modified ES (95%) -0.0012
From Trough To Depth Length To Trough Recovery
2008-01-24 2008-12-15 2012-11-07 -0.3130 1195 214 981
2020-03-10 2020-03-19 2021-02-08 -0.2359 232 8 224
2012-12-03 2013-09-03 2016-06-15 -0.1908 890 189 701
2016-07-08 2016-12-01 2019-08-09 -0.1163 778 103 675
2021-02-12 2021-03-05 NA -0.0382 26 15 NA

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2008 0.1 -2.9 -0.7 0 -0.1 0.6 0.6 -0.1 -1.5 0.2 -5.3 -0.2 -9
2009 -1 0.5 -0.1 -0.8 -3.3 0.9 0.2 0.4 0.2 -0.1 -0.1 0 -3.2
2010 -0.2 -0.2 -0.4 0 -0.6 -0.6 0.2 -0.5 -0.8 -0.4 -0.7 0.2 -4
2011 -0.8 -0.4 0.1 0.1 -0.1 -0.7 0.3 0.1 0.1 0.7 -0.3 0.1 -0.7
2012 -0.5 -0.9 -0.1 -0.4 -0.2 -0.3 -0.4 0 -0.2 -0.4 0.4 0.1 -2.9
2013 -0.1 -0.4 -0.3 0 -0.6 -0.5 -0.8 0.5 -0.9 -0.9 0 0.4 -3.6
2014 0.2 0.1 -0.5 -0.1 0.1 -0.5 -0.1 -0.4 0.2 -0.3 -0.1 0.3 -1.2
2015 0.6 0.5 -0.3 -1 -0.4 -0.3 0.3 -0.2 -0.3 0.1 0 0.3 -0.6
2016 -0.6 -0.6 -0.1 0.2 0 -0.2 -0.7 -0.1 -0.1 -0.5 -1 0.9 -2.9
2017 -0.5 -0.8 0.2 -0.3 -0.3 0.1 0.1 -0.5 0.2 -0.1 0.4 0.1 -1.5
2018 -0.7 0.1 0.6 0 -0.4 0.2 -0.5 -0.1 -0.3 -0.5 0.2 0.3 -1.1
2019 -0.4 -0.4 -0.5 -0.1 0.5 -0.3 0.1 0 -0.2 -0.4 -0.3 -0.3 -2.3
2020 0.2 -0.3 -5.4 0.7 -0.6 0 -0.3 0.1 -0.2 0 0.2 -0.2 -5.8
2021 -0.2 -0.3 -0.1 NA NA NA NA NA NA NA NA NA -0.5

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2008-01-07  20.1 SPY    141. -0.0008 -0.0415   -0.0512  -0.0941   0.0046    0.189    0.546 GLD    84.8 -0.0042    0.0213
2 2008-01-08  20.1 SPY    139. -0.0161 -0.0499   -0.0797  -0.104   -0.0161    0.177    0.494 GLD    86.8  0.0237    0.0524
3 2008-01-16  20.3 SPY    137. -0.0086 -0.0242   -0.0692  -0.109   -0.0422    0.165    0.468 GLD    86.7 -0.0147    0.0017
4 2008-01-23  20.4 SPY    134.  0.024  -0.0312   -0.0881  -0.111   -0.0626    0.139    0.500 GLD    87.9 -0.0032   -0.0011
5 2008-01-24  20.2 SPY    135.  0.0084 -0.0145   -0.0887  -0.110   -0.0622    0.156    0.531 GLD    90.1  0.0249    0.039 
6 2008-01-25  20.1 SPY    133. -0.0144 -0.00290  -0.108   -0.122   -0.0648    0.142    0.500 GLD    90.3  0.00240   0.0439
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart